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Bond Yields in Emerging Economies: It Matters What State You Are In

Bond Yields in Emerging Economies: It Matters What State You Are In by Laura Jaramillo
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While many studies have looked into the determinants of yields on externally issued sovereign bonds of emerging economies, analysis of domestically issued bonds has hitherto been limited, despite their growing relevance. This paper finds that the extent to which fiscal variables affect domestic bond yields in emerging economies depends on the level of global risk aversion. During tranquil times in global markets, fiscal variables do not seem to be a significant determinant of domestic bond yields in emerging economies. However, when market participants are on edge, they pay greater attention to country-specific fiscal fundamentals, revealing greater alertness about default risk.
International Monetary Fund; August 2012
25 pages; ISBN 9781475531367
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Title: Bond Yields in Emerging Economies: It Matters What State You Are In
Author: Laura Jaramillo; Anke Weber